NO.PZ2019010402000015
问题如下:
The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.
If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:
选项:
A.100,000
B.99,626
C.99,800
解释:
B is correct.
考点:FRA settlement
解析:
注:题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。
我的理解是:
这道题目是Fixed received=floating paid即short position,所以payment received=received-paid=fixed-float=FRA-L60(90)
那么是不是如果求的是payment paid,就是paid-received=L60(90)- FRA呢?
是不是计算如图中所示?
谢谢老师啦!